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Persistence in International Inflation Rates

  • Christopher F. Baum
  • John T. Barkoulas
  • Mustafa Caglayan

We test for fractional dynamics in inflation rates based on the consumer price index (CPI) for 27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics with long-memory features is found in both CPI- and WPI-based inflation rates for industrial as well as developing countries. Implications of the findings are considered, and sources of long memory are hypothesized.

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Article provided by Southern Economic Association in its journal Southern Economic Journal.

Volume (Year): 65 (1999)
Issue (Month): 4 (April)
Pages: 900-913

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Handle: RePEc:sej:ancoec:v:65:4:y:1999:p:900-913
Contact details of provider: Web page: http://www.southerneconomic.org/

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  1. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999. "Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries," Journal of International Economics, Elsevier, vol. 47(2), pages 245-266, April.
  2. Yin-Wong Cheung & Francis X. Diebold, 1993. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Working Papers 93-5, Federal Reserve Bank of Philadelphia.
  3. Allan D. Brunner & Gregory D. Hess, 1990. "Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach," Finance and Economics Discussion Series 141, Board of Governors of the Federal Reserve System (U.S.).
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